Windows 7 desktop shortcuts to load and Run .dat files

I'm new to win 7 and so far I am liking it. I hope someone can help me out or point me in the right direction. This is what I would like win 7 to do for me: I created a desktop icon that can open a program (good so far). This program uses .dat files that can be loaded and ran from this program. What I want to do is, instead of manually telling the program to load a particular .dat and running it, I want this: click on the desktop icon, it starts the program, then auto load a specific .dat file, then auto runs that file. IS THIS POSSIBLE?? I figure by either using win cmd.exe or a batch-file not rally sure. For those of you who did online school stuff and you wanted to take an online practice quiz. Instructor would place an icon on the webpage and you selected it, then, it would auto load the particular test you wanted to take... that is my goal. So far, I am able to get the desktop icon to load the program, but everything else has to be manually loaded and ran. Can someone help or point me in the right direction.....!!!!